Copula modeling: an introduction for practitioners

✍ Scribed by Pravin K. Trivedi, David M. Zimmer

• Publisher: Now Publishers Inc
• Year: 2007
• Tongue: English
• Leaves: 126
• Category: Library

✦ Synopsis

Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties

✦ Table of Contents

Introduction......Page 12
Basics of Joint Distributions......Page 18
Copula Functions......Page 20
Some Common Bivariate Copulas......Page 25
Measuring Dependence......Page 30
Visual Illustration of Dependence......Page 38
Generating Copulas......Page 44
Method of Inversion......Page 45
Algebraic Methods......Page 47
Mixtures and Convex Sums......Page 48
Archimedean copulas......Page 53
Extensions of Bivariate Copulas......Page 56
Copula Estimation......Page 66
Copula Likelihoods......Page 67
Two-Step Sequential Likelihood Maximization......Page 70
Copula Evaluation and Selection......Page 74
Monte Carlo Illustrations......Page 79
Empirical Applications......Page 85
Causal Modeling and Latent Factors......Page 101
Conclusion......Page 110
References......Page 112
Copulas and Random Number Generation......Page 122
Selected Illustrations......Page 123